Lung cancer (LC) is one of the leading causes of cancer-related deaths worldwide, with a significant morbidity and mortality rate, endangering human life and health. The introduction of immunotherapies has significantly altered existing cancer treatment strategies and is expected to improve immune responses, objective response rates, and survival rates. However, a better understanding of the complex immunological networks of LC is required to improve immunotherapy efficacy further. Tumor-associated antigens (TAAs) and tumor-specific antigens (TSAs) are significantly expressed by LC cells, which activate dendritic cells, initiate antigen presentation, and activate lymphocytes to exert antitumor activity. However, as tumor cells combat the immune system, an immunosuppressive microenvironment forms, enabling the enactment of a series of immunological escape mechanisms, including the recruitment of immunosuppressive cells and induction of T cell exhaustion to decrease the antitumor immune response. In addition to the direct effect of LC cells on immune cell function, the secreting various cytokines, chemokines, and exosomes, changes in the intratumoral microbiome and the function of cancer-associated fibroblasts and endothelial cells contribute to LC cell immune escape. Accordingly, combining various immunotherapies with other therapies can elicit synergistic effects based on the complex immune network, improving immunotherapy efficacy through multi-target action on the tumor microenvironment (TME). Hence, this review provides guidance for understanding the complex immune network in the TME and designing novel and effective immunotherapy strategies for LC.